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Statistics > Machine Learning

Title:
Robust Kernel Density Estimation

Abstract: We propose a method for nonparametric density estimation that exhibits
robustness to contamination of the training sample. This method achieves
robustness by combining a traditional kernel density estimator (KDE) with ideas
from classical $M$-estimation. We interpret the KDE based on a radial, positive
semi-definite kernel as a sample mean in the associated reproducing kernel
Hilbert space. Since the sample mean is sensitive to outliers, we estimate it
robustly via $M$-estimation, yielding a robust kernel density estimator (RKDE).
An RKDE can be computed efficiently via a kernelized iteratively re-weighted
least squares (IRWLS) algorithm. Necessary and sufficient conditions are given
for kernelized IRWLS to converge to the global minimizer of the $M$-estimator
objective function. The robustness of the RKDE is demonstrated with a
representer theorem, the influence function, and experimental results for
density estimation and anomaly detection.